I don't think I've seen that option before. I think this works if you add the number to your auto reject list. This can be done by pressing and holding the number on the call log screen and then under the 3 dot line that option is there. So then whenever that number calls the phone will not ring, and you will only know that they called if they leave a voicemail.(used mainly for telemarketing calls)
If you want to do that to ALL your calls, then simply put the phone in Airplane mode, and just turn on Wifi/data and Bluetooth.